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Credit Risk: The link between Loss Given Default and Default

Credit Risk: The link between Loss Given Default and Default

October 15th, 2013

A portfolio's loss given default (LGD) rate tends to vary with its default rate, but lenders find it increasingly difficult to quantify the relationship. That has been unfortunate because systematic LGD affects risk, capital, pricing, and risk management. A new LGD function aligns the two rates without adding new parameters to estimate. Federal Reserve Economist Jon Frye will discuss  how the LGD function has performed and how this new research can be applied. A panel discussion and debate on the topic will follow.

Information: 

5:30 - 6:00 Registration

6:00 - 6:15 Welcome and Introductions

6:15 - 7:45 Program

7:45 - 8:30 Networking Reception

Speaker: 
Jon Frye, PRM, Senior Economist, Federal Reserve Bank of Chicago - BIO

Panelists:
Terry Benzschawel, Ph.D., Managing Director, Bond Portfolio Analysis Group, Citi - BIO
Til Schuermann, Ph.D., Partner, Finance & Risk, Oliver Wyman - BIO
Steve Bennett - Consultant, PECDC - BIO

October 15th, 2013 5:30 PM   through   9:00 PM
Credit Suisse AG
11 Madison Ave (Room 2B)
New York, NY 10010
United States
Event Registration $ 25.00
New York
Jon Frye, Senior Economist, Federal Reserve Bank of Chicago
Terry Benzschawel, Ph.D., Managing Director, Bond Portfolio Analysis Group
Steve Bennett, Consultant, PECDC
Til. Schuermann, Ph.D, Partner, Finance & Risk, Oliver Wyman

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